A probabilistic approach to second order variational inequalities with bilateral constraints

DOI10.1007/BF02829634zbMath1054.49007arXivmath/0406076MaRDI QIDQ1425696

K. S. Mallikarjuna Rao, Mrinal K. Ghosh

Publication date: 17 March 2004

Published in: Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406076

zbMATH Keywords

variational inequalitiesviscosity solutionstopping timestochastic differential gameHamilton-Jacobi-Isaacs equationssaddle point equilibrium

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

Variational theory and computations in stochastic plasticity ⋮ Existence of Value in Stochastic Differential Games of Mixed Type

Cites Work

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• Zero-sum Markov games with stopping and impulsive strategies
• Another approach to the existence of value functions of stochastic differential games
• On the Optimal Stopping Time Problem for Degenerate Diffusions
• User’s guide to viscosity solutions of second order partial differential equations
• A representation formula and regularizing properties for viscosity solutions of second-order fully nonlinear degenerate parabolic equations

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